Which extreme values are really extreme?

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dc.contributor.author Gonzalo, Jesús
dc.contributor.author Olmo, José
dc.date.accessioned 2008-10-16T13:09:39Z
dc.date.available 2008-10-16T13:09:39Z
dc.date.issued 2004
dc.identifier.bibliographicCitation Journal of Financial Econometrics, Summer 2004, vol. 2, nº 3, p. 349-369
dc.identifier.issn 1568-4636
dc.identifier.uri http://hdl.handle.net/10016/777
dc.description.abstract We define the extreme values of any random sample of size n from a distribution function F as the observations exceeding a threshold and following a type of generalized Pareto distribution (GPD) involving the tail index of F. The threshold is the order statistic that minimizes a Kolmogorov-Smirnov statistic between the empirical distribution of the corresponding largest observations and the corresponding GPD. To formalize the definition we use a semiparametric bootstrap to test the corresponding GPD approximation. Finally, we use our methodology to estimate the tail index and value at risk (VaR) of some financial indexes of major stock markets.
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso eng
dc.language.iso eng
dc.publisher Oxford University Press
dc.subject.other Bootstrap
dc.subject.other Extreme values
dc.subject.other Goodness-of-fit test
dc.subject.other Hil estimator
dc.subject.other Pickands theorem
dc.subject.other VAR
dc.title Which extreme values are really extreme?
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://proquest.umi.com/pqdlink?did=763444091&sid=1&Fmt=2&cl ientId=36295&RQT=309&VName=PQD
dc.relation.publisherversion http://dx.doi.org/10.1093/jjfinec/nbh014
dc.subject.eciencia Economía
dc.identifier.doi 10.1093/jjfinec/nbh014
dc.rights.accessRights openAccess
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